VALUATION AND HEDGING OF OPTIONS WITH GENERAL PAYOFF UNDER TRANSACTIONS COSTS
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Choi, Hyeong-In
(Department of Mathematics Seoul National University)
Heath, David (Department of Mathematical Sciences Carnegie Mellon University) Ku, Hye-Jin (Department of Mathematics & Statistics York University) |
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Derivative Asset Pricing with Transaction Costs
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DOI |
2 |
Replication of European Option with Genaral Payoff Function in the Presence of Transactions Costs
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3 |
European Option Pricing with Transaction Costs
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4 |
Option Replication in Dscrete Time with Transaction Costs
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DOI ScienceOn |
5 |
Optimal Replication of Contingent Claims under Transaction Costs
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6 |
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7 |
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8 |
A Hedging Strategy and Option Valuation Model with Transaction Costs
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9 |
The Pricing of Options and Corporate Liabilities
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DOI ScienceOn |
10 |
Dynamic Hedging Portfolios for Derivative Securities in the Presence of Large Transaction Costs
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DOI ScienceOn |
11 |
Hedging Option Portfolios in the Presence of Transaction Costs
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12 |
Option Pricing and Replication with Transaction Costs
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DOI ScienceOn |
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